Re: [Gretl-users] Lag Order for ADF Test
On Thu, 31 Mar 2011, Allin Cottrell wrote:
On Thu, 31 Mar 2011, Henrique Andrade wrote:
> Dear Allin, today I realized that Gretl are using the Schwert's
> suggestion to choose the maximum lag length. Thanks for
> implementing this!
>
> I would like to suggest to put this information into the
> Gretl-help...
At present, the automatic setting is just a convenience in the
GUI. I suppose we could implement something like: give -1 for
the order if you want it set automatically a la Schwert.
OK, that's now done in CVS and snapshots.
Allin